There have been many Sonic the Hedgehog compilations. I have even written about some of them. On the occasion of the ill-fated Sega Saturn's 25th birthday, though, only one comes to mind and that's 1997's brilliant little Sonic Jam, which comprises the masterful trilogy-and-a-bit which made up what's broadly and accurately considered "classic Sonic" - Sonic the Hedgehog, Sonic the Hedgehog 2, Sonic the Hedgehog 3, Sonic & Knuckles and all their lock-on permutations.
These games, by themselves, would be worth a thousand pounds. But, incredibly, they managed to offer even more. The base games can be launched in three different modes; "Original", which recreates the Mega Drive experience near as dammit, "Easy", which reduces each zone to a single act and neuters most of the challenge, and finally "Normal", which is confusingly not the original Mega Drive experience - rather, it presents an "improved" version of whichever game you've selected, with bugs fixed and problematic pieces of level design expunged (wave goodbye to the Mystic Cave Zone pit of unrelenting hatred, for example). Additionally, there are modes that let you run through the Special Stages or take on traditional Time Attacks.
It's a generous package from the off - these games weren't even that old at the time and were still widely played and available. To get this much excellence for the price of a single game?! Ludicrous! But even that wasn't enough, with the additional bonus of a really, really stupid 3D mini-game called Sonic World. It's a cute little playable chunk of Sonicage, with some silly little missions to complete (collect 30 rings, that sort of thing) and a nice line in multimedia, with dedicated in-game areas like a gallery and a cinema showcasing concept art and Sonic-related commercials/shorts respectively.
Sonic CD is conspicuous in its absence, but I'm sure they had a decent reason for not including it, like they just couldn't be arsed or something. But overall Jam is a tremendous example of the retro compilation, and the kind of thing we've only just started getting again through the likes of Digital Eclipse.